Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market Article Swipe

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Junru Zhang , Hadrian Geri Djajadikerta , Zhaoyong Zhang ·

YOU? · · 2018 · Open Access · · DOI: https://doi.org/10.3390/su10103361

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

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Mechanical Engineering

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Volatility (finance) Sustainability Stock market Financial economics Stock (firearms) Business Popularity Economics Monetary economics Psychology Engineering Social psychology Mechanical engineering Ecology Biology Horse Paleontology

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Type: article
Language: en
Landing Page: https://doi.org/10.3390/su10103361
PDF: https://www.mdpi.com/2071-1050/10/10/3361/pdf?version=1537420548
OA Status: gold
Cited By: 31
References: 96
Related Works: 10
OpenAlex ID: https://openalex.org/W2890032499

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DOI: https://doi.org/10.3390/su10103361

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Title: Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

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Type: article

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Language: en

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Publication year: 2018

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Publication date: 2018-09-20

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Authors: Junru Zhang, Hadrian Geri Djajadikerta, Zhaoyong Zhang

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Landing page: https://doi.org/10.3390/su10103361

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Concepts: Volatility (finance), Sustainability, Stock market, Financial economics, Stock (firearms), Business, Popularity, Economics, Monetary economics, Psychology, Engineering, Social psychology, Mechanical engineering, Ecology, Biology, Horse, Paleontology

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Cited by: 31

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